When common factors strongly influence two power-law cross-correlated time series recorded in complex natural or social systems, using classic detrended cross-correlation analysis (DCCA) without considering these common factors will bias the results. We use detrended partial cross-correlation...

Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index...

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time....

There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal detrended cross-correlation analysis (MF-DCCA) approaches can be used to quantify such cross-correlations, such as the...

We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange during the whole year of 2003. By reconstructing the limit...

We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a node and a link is formed from one trader to the other if...

This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports...

Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are defined as the waiting times $\tau$ between consecutive...

Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the...

Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies...